Bootstrapping in non-regular smooth function models

Mihai C. Giurcanu

Journal of Multivariate Analysis, 2012, vol. 111, issue C, 78-93

Abstract: We study the large sample behavior of the standard bootstrap, the m-out-of-n bootstrap, and the oracle bootstrap (Giurcanu and Presnell, 2009) [14] percentile confidence intervals in non-regular smooth function models. We show that the oracle bootstrap percentile confidence intervals are consistent while the standard bootstrap and the m-out-of-n bootstrap confidence intervals are inconsistent. Further analysis of coverage probabilities reveals that, for large samples, the iterated oracle bootstrap percentile confidence intervals are more accurate than their non-iterated versions. We also describe the large sample local behavior of the bootstrap confidence intervals for parameter values near the points of inconsistency of the standard bootstrap. In a simulation study, we describe the finite sample local behavior of various bootstrap confidence intervals.

Keywords: Smooth function model; Non-regular estimators; Standard bootstrap; m-out-of-n bootstrap; Oracle bootstrap; Confidence intervals (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X12001078
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:111:y:2012:i:c:p:78-93

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2012.04.016

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().